I sympathize as I'm just starting out with MIDI.
I like the TTS-1. Easy to learn the basics and a good idea to get familiar with it before moving on. (I also like the SI instruments)
First off it seems the order of things is important.
1.You do have to connect your input device first
2.Then boot up Sonar and set preferences to find it.
3.Then run a new TTS-1 and it will find it and do it all.
I spent hours dicking around with settings before I learned this one.
In any case it seems common enough for Midi in Sonar to drop out or stop playing which compounds the confusion in the earliest stages. You think you did something wrong.
I love the editing in PRV. I mostly get it now. It's very fast and easy to add and change everything.
There are some good videos on it.